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Controlled diffusion processes
This book deals with the optimal control of solutions of fully observable Itô-type stochastic differential equations. The validity of the Bellman differential equation for payoff functions is proved and rules for optimal control strategies are developed. Topics include optimal stopping; one dimensio...
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| Lenguaje: | eng |
| Publicado: |
Springer
1980
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| Acceso en línea: | https://dx.doi.org/10.1007/978-3-540-70914-5 http://cds.cern.ch/record/2023597 |
| _version_ | 1780947103712804864 |
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| author | Krylov, Nicolai V |
| author_facet | Krylov, Nicolai V |
| author_sort | Krylov, Nicolai V |
| collection | CERN |
| description | This book deals with the optimal control of solutions of fully observable Itô-type stochastic differential equations. The validity of the Bellman differential equation for payoff functions is proved and rules for optimal control strategies are developed. Topics include optimal stopping; one dimensional controlled diffusion; the Lp-estimates of stochastic integral distributions; the existence theorem for stochastic equations; the Itô formula for functions; and the Bellman principle, equation, and normalized equation. |
| id | cern-2023597 |
| institution | Organización Europea para la Investigación Nuclear |
| language | eng |
| publishDate | 1980 |
| publisher | Springer |
| record_format | invenio |
| spelling | cern-20235972021-04-21T20:12:32Zdoi:10.1007/978-3-540-70914-5http://cds.cern.ch/record/2023597engKrylov, Nicolai VControlled diffusion processesMathematical Physics and MathematicsThis book deals with the optimal control of solutions of fully observable Itô-type stochastic differential equations. The validity of the Bellman differential equation for payoff functions is proved and rules for optimal control strategies are developed. Topics include optimal stopping; one dimensional controlled diffusion; the Lp-estimates of stochastic integral distributions; the existence theorem for stochastic equations; the Itô formula for functions; and the Bellman principle, equation, and normalized equation.Springeroai:cds.cern.ch:20235971980 |
| spellingShingle | Mathematical Physics and Mathematics Krylov, Nicolai V Controlled diffusion processes |
| title | Controlled diffusion processes |
| title_full | Controlled diffusion processes |
| title_fullStr | Controlled diffusion processes |
| title_full_unstemmed | Controlled diffusion processes |
| title_short | Controlled diffusion processes |
| title_sort | controlled diffusion processes |
| topic | Mathematical Physics and Mathematics |
| url | https://dx.doi.org/10.1007/978-3-540-70914-5 http://cds.cern.ch/record/2023597 |
| work_keys_str_mv | AT krylovnicolaiv controlleddiffusionprocesses |